# Generated by tools/build_contracts.py from tools/algoseek_catalog.py -- do not edit by hand. # Open Data Contract Standard v3.2.0 (https://bitol-io.github.io/open-data-contract-standard/). apiVersion: v3.2.0 kind: DataContract id: urn:alphaswarm:datacontract:algoseek:us-equities-adjusted-trade-only name: AlgoSeek US Equities Adjusted Trade Only version: 0.1.0 status: draft domain: market-data tags: - algoseek - licensed-data - equity - us - tick description: purpose: One row is one SIP last-sale trade (or cancellation) for a US equity with prices and volumes adjusted for corporate actions, carrying the adjustment factors and the persistent ASID; delivered as an ArdaDB table. Used for tick-level backtests across splits and dividends. usage: Backtesting, execution and microstructure research, feature engineering for US equities. limitations: 'Delivered as recorded from the source feed: AlgoSeek does not remove crossed or locked quotes, bad prints, or out-of-sequence packets unless contracted to. Consumers own cleaning. Sample channel: ArdaDB (sample_channel ardadb/database_table, eq_trades_adj.csv, 100 rows, AAPL on 2023-08-02 12:29:37-12:29:41); there is no S3 file sample for this dataset. The JSON preview is identical to the CSV. Adjustment evidence (inferred, not documented): in the sample every row has PriceAdjFactor 0.998651458110918 and VolumeAdjFactor 1; Price divided by the factor gives sub-penny raw-style prices (e.g. 191.6712 / 0.99865 = 191.93), so Price already includes the factor and must not be adjusted again. The factor is constant across all 100 sample rows (one trading date, one ASID), so it behaves as a per-security, per-date value repeated on each tick (inferred). Backward-adjusted history is restated when later corporate actions occur (per the Adjustment Factors guides: factors are rebuilt when a security has a new event); adjusted Price/Quantity for a past date are therefore not stable over time. The Trade Only guide does not state a restatement policy.' authoritativeDefinitions: - type: businessDefinition url: https://algoseek.com/dataset/us-equities-adjusted-trade-only/ - type: implementation url: https://algoseek.com/data-docs/equity-market-data/algoseek.US.Equity.Trades.Only.pdf - type: implementation url: https://algoseek.com/docs/rest-api/reference context: instructions: Times are local US Eastern clock times (DST-aware), not UTC. Treat TRADE NB / NBBO-flagged rows as the backtest-grade subset. Cancellations reference earlier trades and can arrive hours later, so aggregate only after the session closes. Prices are unadjusted unless the dataset name says Adjusted; join us-equities-*-adjustment-factors on SecId for adjustment. verifiedStatements: - id: vs1 question: What time zone are the timestamps in? answer: US Eastern local time with daylight saving (the guides label it EST/ET). - id: vs2 question: Are prices adjusted for splits and dividends? answer: Only in datasets whose name contains Adjusted; all others are as traded. constraints: - id: c1 constraint: 'Licensed vendor data: never export raw rows to a tenant-local destination or include them verbatim in a public artifact; serve only through entitlement-checked platform reads.' - id: c3 constraint: Do not treat the vendor's `Ticker` as a stable identity across time; join on an AlgoSeek security key (SecId or ASID, which are distinct) or the platform symbol mapping. servers: - server: algoseek-s3 type: s3 environment: vendor description: AlgoSeek flat-file delivery (the layout the schema below describes). location: s3://${ALGOSEEK_S3_BUCKET_EQ_TRADES_ADJ}/ format: csv encoding: UTF-8 customProperties: - property: layout value: The published sample is an ArdaDB database_table export (sample_channel ardadb/database_table, eq_trades_adj.csv). The only guide for it (Trade Only) describes the raw product as one gzip CSV per symbol per trading day; no table or file layout is documented for the adjusted product. - property: compression value: gzip - property: header value: true - property: entitlement value: Bucket access is granted per subscription; bucket names arrive with license provisioning. - server: algoseek-rest-api type: api environment: vendor description: AlgoSeek Datasets REST API (X-API-KEY header; JSON, CSV or gzipped CSV). Returns AlgoSeek's normalized API layout, which differs from the flat-file columns in this contract's schema. location: https://api.algoseek.com/v1/data/us-equity/trades/:trade_date/:identifier?adjusted=true customProperties: - property: auth value: X-API-KEY header issued by AlgoSeek - property: columnsEndpoint value: https://api.algoseek.com/v1/meta/datasets/{dataset_id}/columns - property: statusEndpoint value: https://api.algoseek.com/v1/meta/datasets/{dataset_id}/status - property: responseFormats value: - json - csv - csv_gzip - property: pagination value: offset + limit; tick endpoints take trade_date and identifier (Ticker or ASID) in the path schema: - name: us_equities_adjusted_trade_only physicalName: eq_trades_adj physicalType: file logicalType: object businessName: US Equities Adjusted Trade Only description: One row is one SIP last-sale trade (or cancellation) for a US equity with prices and volumes adjusted for corporate actions, carrying the adjustment factors and the persistent ASID; delivered as an ArdaDB table. Used for tick-level backtests across splits and dividends. dataGranularityDescription: one trade or trade-cancellation event for one security (ASID) with its adjustment factors properties: - name: TradeDate logicalType: date logicalTypeOptions: format: YYYY-MM-DD physicalType: string (csv text) description: Trading date of the trade (the Trade Only guide's Date field, here ISO-formatted with hyphens). primaryKey: true primaryKeyPosition: 1 required: true partitioned: true partitionKeyPosition: 1 customProperties: - property: evidence value: sample-only - name: EventDateTime logicalType: timestamp logicalTypeOptions: timezone: true defaultTimezone: America/New_York format: YYYY-MM-DD HH:MM:SS.nnnnnnnnn (9-digit fractional seconds, no zone marker) physicalType: string (csv text) description: Trade date and time combined into one value with nanosecond fraction (replaces the guide's separate Date/Timestamp). primaryKey: true primaryKeyPosition: 3 required: true customProperties: - property: evidence value: sample-only - name: EventType logicalType: string physicalType: string (csv text) description: 'Kind of event: trade, trade at the NBBO, or trade cancellation (Trade Only guide values).' primaryKey: true primaryKeyPosition: 4 required: true enum: - value: TRADE label: trade at the exchange or reported to the market center - value: TRADE NB label: trade at national best price (NBBO) - value: TRADE CANCELLED label: cancellation of an earlier trade (reduces traded volume by its quantity); a correction is a cancellation followed by the corrected trade customProperties: - property: evidence value: guide+sample - name: Ticker logicalType: string physicalType: string (csv text) description: Symbol name of the security. customProperties: - property: evidence value: guide+sample - name: ASID logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: 'algoseek Security ID: persistent identifier constant over a security''s life; defined in the ASID Lookup guide, not in the Trade Only guide.' primaryKey: true primaryKeyPosition: 2 required: true partitioned: true partitionKeyPosition: 2 customProperties: - property: evidence value: sample-only - name: Price logicalType: number physicalType: decimal (csv text) description: 'Trade price on the adjusted basis (page: adjusted prices); sample values equal the raw price times PriceAdjFactor, 4 decimals.' customProperties: - property: unit value: USD - property: evidence value: guide+sample - name: Quantity logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: Number of shares in the trade; presumably volume-adjusted via VolumeAdjFactor (always 1 in the sample, so unverified). customProperties: - property: unit value: shares - property: evidence value: guide+sample - name: Exchange logicalType: string physicalType: string (csv text) description: Exchange or reporting venue (algoseek venue code); FINRA marks off-exchange TRF reports. primaryKey: true primaryKeyPosition: 5 required: true enum: - value: NYSE label: New York Stock Exchange LLC (SIP id N) - value: ARCA label: NYSE Arca, Inc. (P) - value: AMEX label: NYSE American, LLC (A) - value: NSE label: NYSE National, Inc. (C) - value: CSE label: NYSE Chicago, Inc. (M) - value: Nasdaq label: Nasdaq, Inc. (T via CTS / Q via UTP); sample files spell it NASDAQ - value: Nasdaq BX label: Nasdaq BX, Inc. (B); sample files spell it NASDAQ BX - value: NASDAQ PSX label: Nasdaq PHLX LLC (X) - value: ISE label: Nasdaq ISE, LLC (I) - value: CBOE label: Cboe Exchange, Inc. (W) - value: BATS Y label: Cboe BYX Exchange, Inc. (Y) - value: BATS label: Cboe BZX Exchange, Inc. (Z) - value: EDGA label: Cboe EDGA Exchange, Inc. (J) - value: EDGX label: Cboe EDGX Exchange, Inc. (K) - value: IEX label: Investors' Exchange LLC (V) - value: LTSE label: Long-Term Stock Exchange (L) - value: MIAX label: MIAX Pearl, LLC (H); sample files spell it MIAX PEARL - value: MEMX label: MEMX LLC, Members Exchange (U) - value: FINRA label: Financial Industry Regulatory Authority trade reporting facilities, i.e. off-exchange trades (D) - value: NE24X label: 24X National Exchange (G) - value: TXSE label: Texas Stock Exchange (F) - value: UNKNOWN label: Unknown venue - value: INVALID label: Invalid venue customProperties: - property: evidence value: guide+sample - name: ConditionCode logicalType: integer logicalTypeOptions: format: i64 physicalType: integer (csv text) description: Trade sale-condition bitmask rendered as a decimal integer instead of the guide's hex string. customProperties: - property: evidence value: sample-only - name: PriceAdjFactor logicalType: number physicalType: decimal (csv text) description: Multiplicative corporate-action price factor applied to the row's raw price (0.998651458110918 on every sample row). customProperties: - property: evidence value: sample-only - name: VolumeAdjFactor logicalType: number physicalType: decimal (csv text) description: Corporate-action volume factor for the row; 1 on every sample row, so its direction is unverified. customProperties: - property: evidence value: sample-only quality: - id: row_count_positive metric: rowCount mustBeGreaterThan: 0 dimension: completeness severity: error description: Every delivered partition (trade date, or snapshot) carries at least one row. - id: primary_key_unique metric: duplicateValues mustBe: 0 arguments: properties: - TradeDate - ASID - EventDateTime - EventType - Exchange dimension: uniqueness severity: warning description: 'Best-effort key for an event stream: same-timestamp events from one venue can repeat, so duplicates are reported, not rejected.' - id: Quantity_non_negative type: sql description: Quantity is never negative. query: SELECT COUNT(*) FROM {object} WHERE Quantity < 0 mustBe: 0 dimension: accuracy severity: error support: - channel: algoseek-support tool: email url: mailto:support@algoseek.com scope: issues description: Vendor support for data defects, missing days, and entitlement problems. team: name: AlphaSwarm data engineering slaProperties: - id: history_start property: generalAvailability value: '2007-01-01' description: First trade date of the vendor history. - id: update_frequency property: frequency value: 1 unit: d driver: analytics - id: retention property: retention value: license-term description: Retention of landed copies is bounded by the AlgoSeek license; purge on termination. driver: regulatory customProperties: - property: vendor value: AlgoSeek - property: vendorDataGroup value: us-equity - property: vendorDatasetTextId value: eq_trades_adj - property: vendorSampleUrl value: https://as-metadata-services-assets.s3.amazonaws.com/sample_files/database_table/eq_trades_adj.csv - property: assetClass value: equity - property: venues value: - NYSE - ARCA - AMEX - NSE - CSE - Nasdaq - Nasdaq BX - NASDAQ PSX - ISE - CBOE - BATS Y - BATS - EDGA - EDGX - IEX - LTSE - MIAX - MEMX - FINRA - NE24X - TXSE - UNKNOWN - INVALID - property: coverage value: Corporate-action-adjusted tick-level US equity trades from the SIP Last Sale feed; the product page advertises adjusted prices and volumes since 2007. The shared Trade Only guide covers the raw feed (listed US equities, all exchanges plus FINRA TRFs, 04:00-20:00 ET) and does not mention adjustment. - property: timezone value: America/New_York - property: timestampFormat value: YYYY-MM-DD HH:MM:SS.nnnnnnnnn (single column, 9-digit fractional seconds) - property: sessionHours value: '04:00-20:00 ET: pre-market 04:00:00-09:29:59, regular 09:30:00-16:00:00, post-market 16:00:01-20:00:00; events are occasionally recorded several minutes after 20:00; early close at 13:00 ET on some pre-holiday days (from the Trade Only guide; not restated for the adjusted product)' - property: priceAdjustment value: adjusted (per-row multiplicative PriceAdjFactor and VolumeAdjFactor columns; method not documented for this product; sample arithmetic fits Price = raw price x PriceAdjFactor, rounded to 4 decimals) - property: licensedData value: true - property: evidenceGrade value: vendor-doc+sample - property: knownIssues value: - Primary key is inferred; AlgoSeek's guide does not name one. - 'Doc discrepancy: The only linked guide (Trade Only v2.7) does not document any adjusted-product field: ASID, PriceAdjFactor, VolumeAdjFactor and the adjustment method appear nowhere in it.' - 'Doc discrepancy: Renamed or reshaped versus the guide: Date -> TradeDate (yyyymmdd -> YYYY-MM-DD), Timestamp -> EventDateTime (date and time merged, always 9 fractional digits), Conditions -> ConditionCode (lower-case hex string -> decimal integer).' - 'Doc discrepancy: Guide says output is gzip CSV per symbol per day with millisecond timestamps before 2016; the sample is an ArdaDB table whose EventDateTime always has nanosecond-width fractions.' - 'Doc discrepancy: Product page says ''since 2007'' but the guide documents no history start; coverage_start 2007 comes from the page text only.' - 'Doc discrepancy: Guide''s Price is raw; here Price is the adjusted value (4 decimals), so values will not match the raw Trade Only/TAQ prices.' - 'Doc discrepancy: Exchange spelling follows the sample (''NASDAQ'') rather than the guide''s table (''Nasdaq'').' - 'Doc discrepancy: Guide has no ''Missing'' column; the sample has no empty cells.' contractCreatedTs: '2026-11-02T00:00:00Z'